Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.1 -2.1%
- Bloomberg Global Risk On/Risk Off Index 3,329.0 -127.0 points
- Euro/Yen Carry Return Index 136.0 -.3%
- Emerging Markets Currency Volatility(VXY) 9.2 -.3%
- S&P 500 Implied Correlation 51.4 -.7%
- ISE Sentiment Index 142.0 +13.0 points
- Total Put/Call .68 -9.3%
- NYSE Arms 1.60 +128.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.10 -.8%
- US Energy High-Yield OAS 357.02 +.43%
- European Financial Sector CDS Index 57.97 -1.6%
- Italian/German 10Y Yld Spread 124.0 -8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 82.25 +1.0%
- Emerging Market CDS Index 185.97 -.77%
- China Corp. High-Yield Bond USD ETF(KHYB) 32.91 -.72%
- 2-Year Swap Spread 20.5 +.5 basis point
- TED Spread 8.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 +1.5 basis points
- MBS 5/10 Treasury Spread 64.5 +2.0 basis points
- IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.95 -.16%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 108.0 unch.
- China Iron Ore Spot 97.40 USD/Metric Tonne -.7%
- Citi US Economic Surprise Index -19.7 +.8 point
- Citi Eurozone Economic Surprise Index -51.7 -.2 point
- Citi Emerging Markets Economic Surprise Index -22.1 +.3 point
- 10-Year TIPS Spread 2.51 -2.0 basis points
- 100.0% chance of no change at Dec. 15th meeting, 95.1% chance of no change at Jan. 26th meeting
US Covid-19:
- 155 new infections/100K people(last 7 days total) +2/100K people
- 29% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +5 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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